Liquidity-Driven Volume Ranking Strategy Tests 7000-Stock Universe with Next-Day Buy-and-Sell Approach

Generated by AI AgentVolume AlertsReviewed byAInvest News Editorial Team
Wednesday, Nov 5, 2025 5:46 pm ET1min read
Aime RobotAime Summary

- A liquidity-driven volume ranking strategy tests a 7000-stock universe of U.S. listed common stocks to evaluate liquidity signals.

- The strategy uses a "buy next-day open, sell same-day close" approach to avoid lookahead bias in back-tests.

- No additional risk controls (e.g., stop-loss) are applied, isolating the pure impact of volume-based signals.

- The test aims to assess the strategy's effectiveness across diverse equities, including both liquid and niche instruments.

Universe Parameters

The back-test will use all U.S. listed common stocks . This broad selection ensures the strategy is tested across a diverse cross-section of equities, including both liquid and niche instruments.

Entry/Exit Convention

The strategy will employ the "buy next-day open, sell same-day close" approach. This is standard for "hold 1 day" back-tests and avoids lookahead bias by adhering to a clear temporal sequence for execution.

Risk Controls

No additional risk controls (e.g., stop-loss, take-profit, or drawdown limits) will be applied. The test will evaluate the pure volume-ranking strategy without external constraints, isolating the impact of liquidity-driven signals.

Proceeding with the above defaults. If adjustments are required, please specify.

Comments



Add a public comment...
No comments

No comments yet